Open Access. Powered by Scholars. Published by Universities.®

Econometrics Commons™

Open Access. Powered by Scholars. Published by Universities.®

University of Malaya

Discipline
Keyword
Publication Year
Publication

Articles 1 - 13 of 13

Full-Text Articles in Econometrics

Response To Exposure Draft On Bearer Plant: An Insight From Capture Theory, Yew Kuok Weng Oct 2020

Response To Exposure Draft On Bearer Plant: An Insight From Capture Theory, Yew Kuok Weng

Student Works (2020-2029)

Despite of steady progress in global convergence of accounting standards, certain International Accounting Standards (IAS) or International Financial Reporting Standard (IFRS) remain controversial and in need of major overhaul. IAS 41, Agriculture is one of the accounting standards for specialised industry where universal acceptance has not been gained among the stakeholders across the world. Particularly, the stakeholders connected to agricultural sector often express strong criticism towards the IAS 41, but little attention has been given to them by the international accounting standard setter. The long-waited revision of IAS 41 only took place after 14 years since the issuance of IAS …

Go to article

Multi-Dimensional Analysis Of Public Transfer Payment Policy In Malaysia, Amirullah Muhammad Adli Jul 2020

Multi-Dimensional Analysis Of Public Transfer Payment Policy In Malaysia, Amirullah Muhammad Adli

Student Works (2020-2029)

The impact of public transfer payment is dynamic, whereby it has shown separately that it can affect the income of the poor, aggregate consumption, economics outputs, education level of the poor and unemployment. However, there is a gap in previous public transfer payment analysis where all previous literature used Ceteris Paribus assumption that means “other things equal” as the central assumption when conducting the study. Nonetheless, Ceteris Paribus assumption is unable to capture the complex economic phenomena of the real world since it assumes other variables constant when analysing the selected variables. Hence, the introduction of Omnia Mobilis assumption that …

Go to article

Stock Liquidity Of Malaysian Public Listed Firms, Yee Ee Chia Apr 2020

Stock Liquidity Of Malaysian Public Listed Firms, Yee Ee Chia

Student Works (2020-2029)

This thesis is motivated by the limited research on the liquidity of Malaysian public listed firms, the growing number of liquidity horseraces, the recent data commercialization by Bursa Malaysia, and liquidity-enhancing policies being spearheaded mainly by stock exchange regulators in emerging markets. By assembling information that covers 1250 public listed non-financial firms over 2000–2015, the thesis conducts three empirical analyses on the determinants of firm liquidity and the effects of higher liquidity on firm valuation, where liquidity is proxied by the “Closing Percent Quoted Spreads” (CPQS). First, the thesis revisits the standard liquidity model and advocates the inclusion of shareholder …

Go to article

Corporate Transparency, Private Information And Stock Price Synchronicity., Mohammed Sharaf Mohsen Shaiban Oct 2010

Corporate Transparency, Private Information And Stock Price Synchronicity., Mohammed Sharaf Mohsen Shaiban

Student Works (2010-2019)

The issue of stock price synchronicity as a measure of stock price informativeness has recently attracted much research attention. Using cross-country data from 40 countries, this study investigates the relationship between corporate transparency (measured by reporting timeliness, financial analyst following and credibility of disclosures) and stock price synchronicity. In addition, this study investigates the moderating effects of reporting timeliness on the relationship between financial analyst and credibility of disclosures and stock price synchronicity. Specifically, it examines whether the relationship between financial analysts and disclosure credibility and stock price synchronicity is stronger or weaker given the range of timeliness of financial …

Go to article

Macroeconomics Stress Testing On Malaysia Commercial Banks' Credit Portfolios., Foo Chii Shia Jun 2010

Macroeconomics Stress Testing On Malaysia Commercial Banks' Credit Portfolios., Foo Chii Shia

Student Works (2010-2019)

In the research paper, quarterly data on Non-performing Loan (NPL) for commercial banks in Malaysia over the time period of quarter 1, 1998 to quarter 4, 2009 together with 5 macroeconomic indicators i.e. Gross Domestic Product (GDP), Consumer Price Index (CPI), FTSE Bursa Malaysia KLCI (KLCI), Unemployment rate and House Property Index are collected to form a credit risk model. The estimated model is employed to analyse banking credit risks conditional on current macroeconomic conditions. Stepwise multiple regression method has been used which to select the useful subsets of variables and to evaluate the order of importance of variables. Furthermore, …

Go to article

Forex Market Behaviour : Application Of High Frequency Data., Tan Heng Kiat May 2010

Forex Market Behaviour : Application Of High Frequency Data., Tan Heng Kiat

Student Works (2010-2019)

The huge and high frequency trading in foreign exchange market creates the need for an analytical method that can provide a view on the volatility. Traditional methods such as GARCH are proven to have limitations when applied to high frequency data, such as those generated in foreign exchange market.In this thesis, wavelet method is applied to high frequency data of EURO/USD, GBP/USD and YEN/USD currency pairs and of one minute resolution. The period of this behavioral study is from one hour before 1pm GMT to one hour after 1pm GMT for every Mondays from June 2008 to Dec 2008. The …

Go to article

The Relationship Between Stock Returns And Inflation In Malaysia, Soke Ling Mau Jan 2002

The Relationship Between Stock Returns And Inflation In Malaysia, Soke Ling Mau

Student Works (2000-2009)

This study starts out with an introductory chapter covering the relationship between nominal and real stock returns with inflation in a general view. Economists are still puzzled on the positive and negative relationship between stock returns and inflation as many empirical results suggest varied conclusions. The second chapter is the literature review, which consists of a few well-known authors with their own theories and hypotheses. The core 3 discussion in this chapter refers to the classical view on stock returns and inflation in 1930 and post -Keynesian view on stock returns and inflation from 1970 till 2001. Chapter Three focuses …

Go to article

Granger-Causality Between Monetary Aggregates And Sectoral Production In Malaysia, Kay Choy Wan Jan 2002

Granger-Causality Between Monetary Aggregates And Sectoral Production In Malaysia, Kay Choy Wan

Student Works (2000-2009)

The main purpose of this study is to empirically assess the distributional impact of financial variables using Malaysian quarterly data. The rationale for pursuing this objective is to identify the possible transmission channels of the financial variables with respect to the sectoral production and its underlying causal. The study employing the methodology of Azali and Habibullah (2000) in using the MWALD test for testing Granger non-causality (Toda Yamamoto, 199 5) was constructed using Seemingly Unrelated Regressions (SUR). The Augmented Dickey­Fuller (ADF) and Phillip-Perron (PP) unit root test procedures Johansen and Juselius (1990) cointegration test and the Toda and Yamamoto (1995) …

Go to article

The Impact Of Bond Ratings On Equity Market : Malaysian Experience, P. Raman Ponnusamy Jan 2002

The Impact Of Bond Ratings On Equity Market : Malaysian Experience, P. Raman Ponnusamy

Student Works (2000-2009)

This research will examine the impact of bond ratings on market efficiency and stock returns. The study covered rating announcements from 1996 to 2001. Four types of rating announcements were covered namely initial announcement, reaffirmation, upgrades and downgrades. Each rating is categorized into investment grade and speculative grade. The mean adjusted model was used to determine the abnormal returns. The findings showed insignificant movement in abnormal returns for all type of ratings and also the sub-category of speculative and investment grades. The result also revealed that the market is efficient in semi-strong form as far as Malaysian market is concerned. …

Go to article

Does The Export-Led Growth Hypothesis Hold For Malaysia?, Beebee Rosida Nohur Jan 2002

Does The Export-Led Growth Hypothesis Hold For Malaysia?, Beebee Rosida Nohur

Student Works (2000-2009)

This paper examines the export-led growth hypothesis in Malaysia over the last 30 years using current techniques in econometric analysis of non-stationary time series. In order to avoid model misspecification, this study employs a multivariate framework. The basic objective of this study is to provide further empirical evidence on the merits of export-oriented strategies. The principal results emerging from our research are: Firstly, all the data series exhibit an autoregressive scheme of order one, that is they are I( 1) series and that exports, investment to output ratio, terms of trade and GDP in real terms are cointegrated. This implies …

Go to article

The Relationship Between Selected Economic Indicators And The Malaysian Stock Index Futures, Irwaan Iskandar Abrahim Jan 2002

The Relationship Between Selected Economic Indicators And The Malaysian Stock Index Futures, Irwaan Iskandar Abrahim

Student Works (2000-2009)

This research examines the relationship between selected economics indicators and Malaysian Stock Index Futures. It also focusses on the relevancy of the Efficient Market Hypothesis (EMH) in a developing derivatives market in South East Asia, namely the Malaysian Stock Index Futures market. The relationship analysis between selected economic indicators and Malaysian Stock Index Futures may give better understanding the degree our derivatives market grasp economics factors in determining market change and movements. In an efficient market, the relevant signal to be used in trading is the futures price. The relative forecasting power of futures price is applied with the various …

Go to article

A Study On The Behaviour Of Selected Macroeconomic Indicators For Malaysia Prior To The Currency Crisis In 1997, Sena Herath Vijitha Jan 2000

A Study On The Behaviour Of Selected Macroeconomic Indicators For Malaysia Prior To The Currency Crisis In 1997, Sena Herath Vijitha

Student Works (2000-2009)

This paper attempts to develop an early warning system to predict currency crises that will allow managers not to be caught off-guard when a currency crisis hits the country. It is hoped that with an effective early warning system, managers will have adequate time to construct appropriate marketing and business strategies to counter the negative impact of a currency crisis. This research project examines the macroeconomic data generated by Bank Negara and the Ministry of Finance to see if correlations exist between macroeconomic measures and devaluation prospects as cited in the literature and whether these can be used in the …

Go to article

The Applicability Of The Dividend-Yield Investment Strategy At The Kuala Lumpur Stock Exchange, Allan, Kim Hon. Ngam Jan 2000

The Applicability Of The Dividend-Yield Investment Strategy At The Kuala Lumpur Stock Exchange, Allan, Kim Hon. Ngam

Student Works (2000-2009)

Many theories, techniques and strategies have been developed over the years on how to outperform the stock market. The objective of this research is to apply the "Dividend-Yield" strategy on the Kuala Lumpur Stock Exchange ("KLSE") to ascertain whether using such a strategy would provide superior investment return. Research findings using this strategy on the New York Stock Exchange ("NYSE") have shown favourable results. The data used in this research were sourced primarily from the KLSE, covering a period of 10 years from 1988 to 1997. This research is based on the premise that the investment universe comprises the component …

Go to article